Shareholder Coordination, Information Diffusion and Stock Returns
研究发现，机构投资者之间的信息共享网络质量能预测股票收益：股东协调程度高的公司，其股价与同行联动性更低，盈余公告后的漂移也更小，表明信息网络促进了信息扩散、提高了定价效率。
Abstract We show that the quality of information‐sharing networks linking firms’ institutional investors has stock return predictability implications. We find that firms with high shareholder coordination experience less local comovement and less post‐earnings announcement drift, consistent with the notion that information‐sharing networks facilitate information diffusion and improve stock price efficiency. In support of the view that coordination acts as an information diffusion channel, we document that the stock return performance of firms with high shareholder coordination leads that of firms with low shareholder coordination.